The books... not free though
A close above the 20-bar high opens a long, and a close below the 20-bar low opens a short. Positions close when price crosses the opposite 10-bar channel or hits a 1% stop. It was tested on index and Gold charts from 5 minutes to 1 hour.
Best run of 16. DAX 40, 1 hour, spread 3, from run pf:2026-09-15-DAX40-1h.tsv:1.
| Period | Up to 2026-09-15 |
| Instrument | DAX 40, 1 hour |
| Spread | 3 points |
| Contracts | 1 |
| Starting capital | 1,000,000 |
| Costs | Spread only. Commissions and overnight financing are not included. |
| Bars | Up to 200,000 bars, fewer where the instrument has less history |
| Last tested | 2026-09-15 |
| positionSize Contracts per trade | 1 |
| channelPeriod Entry channel length | 20 |
| exitPeriod Exit channel length | 10 |
| stopLossPct Protective stop, percent of entry price | 1 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| DAX 40Best run | 1 hour | 1.04 | 3,444 | 35.51 | 5,872 EUR | -4,299 |
| Gold | 1 hour | n/a | 3,401 | 35.67 | 240 EUR | -816 |
| Gold | 30 min | n/a | 5,566 | 34.44 | -211 EUR | -3,134 |
| Gold | 15 min | n/a | 5,447 | 31.28 | -1,708 EUR | -3,514 |
| Gold | 5 min | n/a | 5,490 | 31.86 | -3,707 EUR | -3,867 |
| S&P 500 | 5 min | n/a | 5,596 | 31.61 | -4,442 EUR | -4,496 |
| DAX 40 | 30 min | n/a | 5,850 | 34.92 | -5,311 EUR | -9,461 |
| S&P 500 | 30 min | n/a | 5,939 | 33.68 | -5,417 EUR | -6,873 |
| S&P 500 | 1 hour | n/a | 3,923 | 33.98 | -5,799 EUR | -6,267 |
| S&P 500 | 15 min | n/a | 5,841 | 32.12 | -7,472 EUR | -7,561 |
| Nasdaq 100 | 5 min | n/a | 5,680 | 33.87 | -8,625 EUR | -8,712 |
| Nasdaq 100 | 30 min | n/a | 6,105 | 34.22 | -9,101 EUR | -14,235 |
| Nasdaq 100 | 1 hour | n/a | 4,012 | 33.57 | -10,985 EUR | -13,661 |
| Nasdaq 100 | 15 min | n/a | 5,817 | 33.02 | -12,669 EUR | -16,373 |
| DAX 40 | 15 min | n/a | 5,724 | 33.61 | -18,816 EUR | -18,832 |
| DAX 40 | 5 min | n/a | 5,759 | 31.62 | -20,430 EUR | -20,671 |
Charts
Top 10 of 16 runs. The full list is in the table above.
The code
// ============================================================ // Donchian Channel Breakout // ProRealAlgos Strategy Library | prorealalgos.com // Type: Breakout // Direction: Long & short // Timeframe tested: 1 hour // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade channelPeriod = 20 // entry channel length exitPeriod = 10 // exit channel length stopLossPct = 1 // protective stop, percent of entry price // --- Indicators --- // Channels end on the previous bar, so the breakout bar cannot set its own level. channelHigh = Highest[channelPeriod](high)[1] channelLow = Lowest[channelPeriod](low)[1] exitHigh = Highest[exitPeriod](high)[1] exitLow = Lowest[exitPeriod](low)[1]
26 more lines: the entry and exit rules.
Setup
Questions
Yes, all rules are automatable. The code was rewritten after testing and is not compile-checked, and the test results are weak, so treat live use with caution.
DAX 40, Nasdaq 100, S&P 500 and Gold on 5, 15, 30 minute and 1 hour charts. Apart from the DAX 40 1 hour best run and Gold 1 hour, every sweep lost money.
The DAX 40 1 hour run saw a max drawdown of EUR 4,298.5 against EUR 5,871.8 net profit. The worst sweep drew down EUR 20,670.9.
The 3 point spread is a bigger share of each trade on 5 and 15 minute bars, and the channel breaks more often, so losses stack up.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
